Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0555
Annualized Std Dev 0.3472
Annualized Sharpe (Rf=0%) 0.1599

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1978
Quartile 1 -0.0093
Median 0.0009
Arithmetic Mean 0.0005
Geometric Mean 0.0002
Quartile 3 0.0106
Maximum 0.2154
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0010
Variance 0.0005
Stdev 0.0219
Skewness -0.1299
Kurtosis 7.9328

Downside Risk

Close
Semi Deviation 0.0157
Gain Deviation 0.0156
Loss Deviation 0.0167
Downside Deviation (MAR=210%) 0.0200
Downside Deviation (Rf=0%) 0.0155
Downside Deviation (0%) 0.0155
Maximum Drawdown 0.8353
Historical VaR (95%) -0.0330
Historical ES (95%) -0.0522
Modified VaR (95%) -0.0328
Modified ES (95%) -0.0535
From Trough To Depth Length To Trough Recovery
2007-12-27 2020-03-23 NA -0.8353 3331 3080 NA
2000-03-07 2001-09-21 2003-12-12 -0.6552 948 387 561
2006-05-11 2007-03-05 2007-10-31 -0.4272 372 204 168
2004-04-06 2004-05-17 2004-12-13 -0.3289 174 29 145
2004-12-29 2005-04-15 2005-07-08 -0.2186 133 75 58

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.2 9.4 0 0.8 1.4 2.5 -2.9 -0.5 -3.9 -4 -0.4 0.8 3.7
2000 1.5 -0.9 -2.5 1.7 -3.1 1.3 0.5 4.1 -1 3.5 3.4 0.5 9.1
2001 2.1 0.3 -3.1 0.8 -1 2.4 0 -0.9 -1.6 2 -0.8 2.8 2.7
2002 -0.4 2.7 1.5 -0.9 -2.4 0.6 -2.5 4 -1.7 0.3 1.3 0.9 3.3
2003 -0.9 0.5 -0.1 -0.2 0.2 0.5 -0.2 1 2.1 1.7 4.1 -1.2 7.5
2004 0.3 5.5 3.5 -0.4 0.2 0.1 1.8 0.7 4.8 0.5 4.4 -0.1 23.2
2005 -0.2 1.2 0.8 0.7 0.5 -1.8 -2 -0.8 1 2.7 2.7 -0.7 4.1
2006 -2.7 2.6 -2.3 3.6 0.5 -3.2 -2.1 0.4 0.8 -1.2 0.6 -0.5 -3.6
2007 2.3 -0.8 -3.8 0.4 0 1.4 0 2.5 1.6 -3.9 3.3 0.1 2.8
2008 3.3 -2.5 4.8 2.5 -1.1 -2.2 4.7 -1 2.4 1.9 -5 7 14.9
2009 -2.1 0.4 2.8 0.1 4.3 2.8 5 -2 -1.1 -4.8 3.3 1.3 9.9
2010 1.7 2.2 1.4 -1.4 -1 0.1 0.3 2.6 1.4 1.2 4 1.2 14.5
2011 1.1 0.5 1 -0.2 -0.8 0.1 0.6 -0.4 -3.4 -2.4 0.4 0.8 -2.9
2012 3.6 0.7 2.8 0.3 -0.7 4.8 0.1 0.3 0.7 0.8 1.2 1.2 16.9
2013 0.8 -0.1 -0.7 -0.8 -1.5 1.4 -0.1 1.7 0.3 0.3 1.9 -0.1 3
2014 -0.1 -0.2 0.9 0.5 -0.7 1.9 0.4 0.3 -2.4 2.1 -0.6 0.6 2.7
2015 -2.3 1.5 0.6 2.4 0.7 0.9 1.3 -1.3 -0.4 -1.2 0.5 0.9 3.5
2016 -0.4 4.9 0 -1 -0.8 1.5 0.1 0.8 0.8 0 -0.1 1.6 7.5
2017 0.2 1 0.5 -0.3 0.9 0.1 0.2 0.4 1.4 1 -0.9 2 6.7
2018 -0.5 -0.9 0.9 -0.2 0.4 1.8 0.3 1.4 0.4 1.9 0.7 0.3 6.7
2019 0 0 1.5 -0.4 0.5 1.2 -0.1 0.8 -1 1.1 -0.9 -0.9 1.6
2020 -0.9 -4.5 -5.3 -3.4 4.1 2.4 0.1 1.3 1.8 -0.5 2.7 0.3 -2.4
2021 2.8 1.2 1 NA NA NA NA NA NA NA NA NA 5.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  6.62 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  6.69 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  7    SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  7.06 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  7.12 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  7.25 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart